De-noising option prices with the wavelet method (Q1926918)

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De-noising option prices with the wavelet method
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    title
    De-noising option prices with the wavelet method (English)
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    author
    Xiaoquan Liu
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    Liya Shen
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    publication date
    29 December 2012
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    Mathematics Subject Classification ID
    91G20
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    91G60
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    62P05
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    91B84
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    62M10
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    65T60
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    zbMATH DE Number
    6119491
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    zbMATH Keywords
    wavelet analysis
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    Monte Carlo simulation
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    option pricing
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    de-noise
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